Mohammad Arabmazar Yazdi; Ahmad Badri; Maryam Davallou
Abstract
The purpose of this research is the empirical test of idiosyncratic risk pricing in Tehran Stock Exchange during 1378 to 1389. The research is considered as “Ex-post facto” that has been done using “portfolio study approach” and is based on observational data. The statistical ...
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The purpose of this research is the empirical test of idiosyncratic risk pricing in Tehran Stock Exchange during 1378 to 1389. The research is considered as “Ex-post facto” that has been done using “portfolio study approach” and is based on observational data. The statistical sample composed of 11880 firms/season observations from 270 listed companies in Tehran Stock Exchange. Results show that investors expect to compensate (obtain risk premium) for bearing idiosyncratic risk. The performance of momentum portfolios based on idiosyncratic risk always is positive and statistically significant. Furthermore, the robustness tests confirm that this positive performance is not influenced by weak trading effects, change in idiosyncratic volatility estimation method and weighting scheme of return computation
Mohamad Arab mazar yazdi; Ahmad Badri; AFSHIN Azizian
Volume 10, Issue 39 , October 2013, , Pages 1-27
Abstract
Herding behavior is among the most noticed biases in behavioral finance. This bias implies that investors unknowingly neglect personal information and analyses; instead they tend to follow other investors or the whole market. Using Tehran Exchange stocks transactions data, this study empirically ...
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Herding behavior is among the most noticed biases in behavioral finance. This bias implies that investors unknowingly neglect personal information and analyses; instead they tend to follow other investors or the whole market. Using Tehran Exchange stocks transactions data, this study empirically examines herding behavior in this market. Two models based on cross-sectional deviation of stock returns and another model based on beta in state-space structure are utilized in our research. The sample covers 21,112 weekly returns and transaction volumes observations from April 2005 to April 2011. Our findings indicate that participants often lack independent investment decisions; i.e. they prefer following other investors’ decisions to taking an independent approach. This confirms that herding behavior exists in Tehran Stock Exchange. Moreover, evaluating comparative power of our three models suggests that the model based on beta is more powerful in explaining herding behavior than the other model.
Mohammad Arabmazar Yazdi; Mohammad Talebian
Volume 6, Issue 21 , April 2008, , Pages 1-30
Abstract
This paper examines the relation between the quality of financial reporting, information risk and cost of capital for a sample of firms listed in TSE's during 1380-1384.Using accruals quality as a proxy for financial reporting quality and information risk; prior research suggests ...
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This paper examines the relation between the quality of financial reporting, information risk and cost of capital for a sample of firms listed in TSE's during 1380-1384.Using accruals quality as a proxy for financial reporting quality and information risk; prior research suggests that financial reporting quality affects information risk, and in tum, affects firm's cost of capital. We find that firms with poor accruals quality have higher cost of capital relative to firms with high accruals quality. We also find that the effect of discretionary accruals quality on cost of capital (cost of debt and cost of equity) is greater than for non-discretionary accruals (innate accruals) quality.
Mohammad Arabmazar Yazdi; Mohammad Hosein Safarzadeh
Volume 4, Issue 15 , October 2006, , Pages 1-20
Abstract
This paper provides evidence on relationships between earnings and cash flow measures for the firms accepted in Tehran Stock Exchange (TSE) over a sample of 83 firms during the period of 1376- 1385. In so doing, we examine the external validity of a U.S.A study of these ...
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This paper provides evidence on relationships between earnings and cash flow measures for the firms accepted in Tehran Stock Exchange (TSE) over a sample of 83 firms during the period of 1376- 1385. In so doing, we examine the external validity of a U.S.A study of these relationships by Bowen, Burgstahler and Daley (1986). We also extend their study through an industry analysis of the relationships.
Evidence is presented first that shows low correlations between traditional cash flow measures and a more refined cash flow measure. Second, traditional cash flow measures exhibit high correlations with earnings, while the more refined cash flow measure has a lower correlation with earnings. Finally, traditional cash flow measures better predict future cash flows than models based on earnings or a more refined cash flow measure. The industry evidence shows that the results on the first two issues, but not the latter issue, are generalizable across industry categories.
Mohammad A. Mazar Yazdi; Shahnaz Mashayekh
Volume 1, Issue 4 , January 2004, , Pages 1-24
Abstract
The Performance Evaluation Models that developed from Middle of 1960s was used in many researches. Between three Models that were developed by William Sharp, Jack Treynor and Michael Jensen, many researches used differential excess return of Jensen Model.
Some of researches that were previously done ...
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The Performance Evaluation Models that developed from Middle of 1960s was used in many researches. Between three Models that were developed by William Sharp, Jack Treynor and Michael Jensen, many researches used differential excess return of Jensen Model.
Some of researches that were previously done showed that investment company with active management usually obtain gross excess return. However this return almost was not important and after deduction of operating expense would be eliminated or negative.
This article shows results of research that investigate the performance of 14 Iranian investment companies between 1374 -1380.
Sharp and Jensen models were used respectively in determining portfolio Risk and Return and evaluating performance.
This research tested eight hypotheses. The result demonstrates 26.9 percent average gross excess return. This excess return will become 25.8 percent after deducting operating expenses. Shortening the calculation Periods almost confirm above results.
In summary, the results of testing eight hypotheses demonstrate that active management in Iranian investment companies for Marketable securities performed better than passive management and could obtain important excess return. Of course investment holding companies had a much better performance than mutual fund.
